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Petrol Fiyatlarındaki ve Nominal Kurdaki Dalgalanmaların Petrole Bağımlı Bazı Gelişmekte Olan Ülkelerin Ekonomik Büyümesi Üzerindeki Etkileri

Year 2019, Volume: 19 Issue: 2, 301 - 308, 30.04.2019
https://doi.org/10.21121/eab.558475

Abstract

Bu çalışma, petrol fiyatlarının reel ekonomik büyüme üzerideki etkilerini incelemeyi amaçlamaktadır. Çalışma, büyük ölçüde petrol ithalatında dışa bağımlı gelişmekte olan altı ülke temel alınarak yapılmıştır. Kişi başına petrol tüketimi bakımından da düşük orta düzeylerde bulunan bu altı ülke şunlardır: Şili, Filipinler, Polonya, Güney Afrika, Tayland ve Türkiye. Çalışmada kullanılan üç aylık veri seti Ocak 1996-Aralık 2016 arasındaki dönemi kapsamaktadır. Petrol fiyatlarındaki dalgalanmayı temsili olarak göstermek için, benzin ve dizelin ortalama pompa fiyatları ile birlikte, günlük ham petrol fiyatlarındaki dalgalanmadan yola çıkarak hesaplanan petrol fiyatlarının üç aylık varyasyon katsayısı kullanılmıştır. Panel veri yöntemi kullanılarak yapılan tahminler şunları ortaya koymaktadır: Petrol fiyatlarının hareketlendiği dönemlerde aynı zamanda döviz kurları da dalgalanmakta; bu durum GSYİH büyüme oranlarında belirli bir değişim olacağına işaret etmektedir. Ayrıca petrol fiyatlarındaki ve döviz kurundaki dalgalanmalar, üç aylık gecikme dönemi sonrasında ele alınan gelişmekte olan ülkelerin GSYİH büyüme oranları üzerinde aksi yönde etki bırakmaktadır. Sonuçlar; petrol fiyatlarındaki dalgalanmaların kurlardaki dalgalanmaların belirli bir kısmını oluşturduğunu, bu dalgalanmaların zamanla GSYİH büyüme oranlarını da etkilediği düşüncesini desteklemektedir. Ortaya çıkan bu sonuçlar da ekonomik aktivitenin petrol fiyatlarındaki hareketliliğe karşı uyum sağlayacağı stratejilerin geliştirilmesinde yol gösterici olabilir.  

References

  • Aguiar-Conraria, L., & Wen, Y. (2007). Understanding the Large Negative Impact of Oil Shocks. Journal of Money, Credit, and Banking, 39(4), 925-44.
  • Aguiar-Conraria, L., & Soares, M.J. (2011). Oil and the Macroeconomy: Using Wavelets to Analyze Old Issues. Empirical Economics, 40(3), 645–655.
  • Andersen, T. G., Bollerslev, T, Diebold, F. X., &Labys, P. (2003). Modeling and Forecasting Realized Volatility. Econometrica, 71(2), 579-625.
  • Arellano, M. & Bond S. (1991). Some Tests on Specification on Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review of Economic Studies, 58 (2), 277-297.
  • Asteriou, D., & Villamizar, D. D. (2013). The Effects of Oil Price on Macroeconomic Variables in Oil Exporting and Oil Importing Countries. International Journal of Energy, Environment and Economics. 21(4), 323-341.
  • Aziz, M. I. A., & Abu Bakar, N.A. (2011). Oil Price Shocks and Macroeconomic Activities in Malaysia. Journal of World Economic Review, 6(2), 123-142
  • Aziz, M. I. A., & Dahalan, J. (2015). Oil Price Shocks and Macroeconomic Activities in Asean-5 Countries: A Panel VAR Approach. Eurasian Journal of Business and Economics, 8(16), 101-120.
  • Balke, N. S., Brown, S.P.A., & Yücel, M.K. (2010). Oil Price Shocks and U.S. Economic Activity: An International Perspective. RFF Discussion Paper, 2010-37.
  • Baumeister, C., & Peersman, G. (2013). The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market. Journal of Applied Econometrics, 28(7), 1087–1109.
  • Berüment, M. H., Ceylan, N. B., & Doğan, N. (2010). The Impact of Oil Price Shocks on the Economic Growth of Selected Mena Countries. Energy Journal, 31, 149-176.
  • BP (2017). BP Statistical Review of World Energy June 2017. Retrived from https://www.bp.com/content/ dam/bp/en/corporate/pdf/energy-economics/ statistical-review-2017/bp-statistical-review-ofworld-energy-2017-full-report.pdf Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies, 47(1), 239-253.
  • Brini, R., Jemmali, H., & Farroukh, F. (2016). Macroeconomic Impacts of Oil Price Shocks on Inflation and Real Exchange Rate: Evidence from Selected MENA Countries. 15th International Conference Middle East Economic Association (MEEA 2016), 23-25 March 2016, Doha.
  • Brown, S. P. A, & M. K. Yücel. (2002). Energy Prices and Aggregate EconomicActivity: An Interpretative Survey. The Quarterly Review of Economics and Finance, 42 (2), 193–208.
  • Céspedes, L.P., & Velasco, A. (2012). Macroeconomic Performance During Commodity Price Booms and Busts. IMF Economic Review, 60(4), 570-599.
  • Davis, S.J., & Haltiwanger, J. (2001). Sectoral Job Creation and Destruction Responses to Oil Price Changes. Journal of Monetary Economics, 48(3), 465-512.
  • Ferderer, P.J. (1996). Oil Price Volatility and the Macroeconomy. Journal of Macroeconomics, 18(1), 1-26. Gronwald, M. (2016). Explosive Oil Prices, Energy Economics, 60, 1-5.
  • Gülay, E., & Pazarlıoğlu, M.V. (2016). The Empirical Role of Real Crude Oil Price and Real Exchange Rate on Economic Growth: The Case of Turkey. Ege Akademik Bakış, 16(4), 627-639.
  • Hamilton, J. D. (2003). What is an Oil Shock?. Journal of Econometrics, 113(2), 363-98.
  • Hamilton, J. D. (1983). Oil and the Macroeconomy Since World War II. Journal of Political Economy, 91(2), 228-248.
  • Hooker, M.A. (1996). What Happened to the Oil PriceMacroeconomy Relationship?. Journal of Monetary Economics, 38(2), 195-213.
  • Jiménez-Rodríguez, R., & Sánchez, M. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for some OECD Countries. Applied Economics, 37, 201-228.
  • Jiménez-Rodriguez, R.J., & Sanchez, M. (2009). Oil Shocks and the Macro-economy: A Comparison across High Oil Price Periods. Applied Economics Letters, 16 (16), 1633-1638.
  • Kliesen, K. L. (2008). Oil and the U.S. Macroeconomy: An Update and a Simple Forecasting Exercise. Federal Reserve Bank of St. Louis Review, 90(5), 505-16.
  • Kumar, S. (2005). The Macroeconomic Effects of Oil Price Shocks: Empirical Evidence for India. Economics Bulletin, 29 (1), 15–37.
  • Levin, A., Lin, C. F. & Chu C. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties. Journal of Econometrics, 108, 1-24.
  • Mork, K.A. (1989). Oil and the Macroeconomy, When Prices Go Up and Down: An extension of Hamilton’s results. Journal of Political Economy, 97(3), 740-744.
  • Peersman, G., & I. Van Robays (2009). Oil and the Euro Area Economy. Economic Policy, 24(60), 603-651.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross section Dependence in Panels. University of Cambridge. Faculty of Economics Cambridge Working Papers in Economics, 0435.
  • Öztürk, F. (2015), Oil Price Shocks-Macro Economy Relationship in Turkey. Asian Economic and Financial Review, 5(5), 846-857.
  • Segal, P. (2011). Oil Price Shocks and the Macroeconomy. Oxford Review of Economic Policy, 27(1), 169–185.
  • Taghizadeh-Hesary, F., & Yoshino, N. (2015). Macroeconomic Effects of Oil Price Fluctuations on Emerging and Developed Economies in a Model Incorporating Monetary Variables. Asian Development Bank Institute Working Paper Series, 546.
  • Van Robays, I.V. (2012). Macroeconomic Uncertainty and the Impact of Oil Shocks. European Central Bank Working Paper Series, 1479.
  • Yıldız, E., & Karacaer-Ulusoy, M. (2013). The Fragility of Turkish Economy from the Perspective of Oil Dependency. Managing Global Transitions, 13 (3), 253–266.
  • Zhang, D. (2008). Oil Shock and Economic Growth in Japan: A Nonlinear Approach. Energy Economics, 30 (5), 2374–90.

The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries

Year 2019, Volume: 19 Issue: 2, 301 - 308, 30.04.2019
https://doi.org/10.21121/eab.558475

Abstract

This study aims to investigate the impacts of volatility of oil prices on the real economic growth. Six heavily oil importer emerging market countries are explored in the study. They are also lower middle oil consumer countries, namely Chile, Philippines, Poland, South Africa, Thailand and Turkey. The quarterly dataset covers the period January 1996- December 2016. To gauge volatility of oil prices, quarterly coefficient of variation for oil prices derived by average daily crude oil prices is used as a proxy, together with the gasoline and diesel fuel average pump prices. The results of panel estimation reveal the following findings: Volatility of oil prices concurrently moves with the volatility of foreign exchange rates, which in turn leads to a change in the GDP growth rates. Moreover, for a three month lag, movements of oil prices and exchange rates adversely affect the GDP growth rate for the emerging oil importing countries under investigation. Thus, these results supports the idea that oil price movements make up some part of the volatiliy of exchange rates and gradually affect the GDP growth rates. These results might be helpful for improving adjustment strategies of the economic activity against oil price movements.  

References

  • Aguiar-Conraria, L., & Wen, Y. (2007). Understanding the Large Negative Impact of Oil Shocks. Journal of Money, Credit, and Banking, 39(4), 925-44.
  • Aguiar-Conraria, L., & Soares, M.J. (2011). Oil and the Macroeconomy: Using Wavelets to Analyze Old Issues. Empirical Economics, 40(3), 645–655.
  • Andersen, T. G., Bollerslev, T, Diebold, F. X., &Labys, P. (2003). Modeling and Forecasting Realized Volatility. Econometrica, 71(2), 579-625.
  • Arellano, M. & Bond S. (1991). Some Tests on Specification on Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review of Economic Studies, 58 (2), 277-297.
  • Asteriou, D., & Villamizar, D. D. (2013). The Effects of Oil Price on Macroeconomic Variables in Oil Exporting and Oil Importing Countries. International Journal of Energy, Environment and Economics. 21(4), 323-341.
  • Aziz, M. I. A., & Abu Bakar, N.A. (2011). Oil Price Shocks and Macroeconomic Activities in Malaysia. Journal of World Economic Review, 6(2), 123-142
  • Aziz, M. I. A., & Dahalan, J. (2015). Oil Price Shocks and Macroeconomic Activities in Asean-5 Countries: A Panel VAR Approach. Eurasian Journal of Business and Economics, 8(16), 101-120.
  • Balke, N. S., Brown, S.P.A., & Yücel, M.K. (2010). Oil Price Shocks and U.S. Economic Activity: An International Perspective. RFF Discussion Paper, 2010-37.
  • Baumeister, C., & Peersman, G. (2013). The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market. Journal of Applied Econometrics, 28(7), 1087–1109.
  • Berüment, M. H., Ceylan, N. B., & Doğan, N. (2010). The Impact of Oil Price Shocks on the Economic Growth of Selected Mena Countries. Energy Journal, 31, 149-176.
  • BP (2017). BP Statistical Review of World Energy June 2017. Retrived from https://www.bp.com/content/ dam/bp/en/corporate/pdf/energy-economics/ statistical-review-2017/bp-statistical-review-ofworld-energy-2017-full-report.pdf Breusch, T. S., & Pagan, A. R. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies, 47(1), 239-253.
  • Brini, R., Jemmali, H., & Farroukh, F. (2016). Macroeconomic Impacts of Oil Price Shocks on Inflation and Real Exchange Rate: Evidence from Selected MENA Countries. 15th International Conference Middle East Economic Association (MEEA 2016), 23-25 March 2016, Doha.
  • Brown, S. P. A, & M. K. Yücel. (2002). Energy Prices and Aggregate EconomicActivity: An Interpretative Survey. The Quarterly Review of Economics and Finance, 42 (2), 193–208.
  • Céspedes, L.P., & Velasco, A. (2012). Macroeconomic Performance During Commodity Price Booms and Busts. IMF Economic Review, 60(4), 570-599.
  • Davis, S.J., & Haltiwanger, J. (2001). Sectoral Job Creation and Destruction Responses to Oil Price Changes. Journal of Monetary Economics, 48(3), 465-512.
  • Ferderer, P.J. (1996). Oil Price Volatility and the Macroeconomy. Journal of Macroeconomics, 18(1), 1-26. Gronwald, M. (2016). Explosive Oil Prices, Energy Economics, 60, 1-5.
  • Gülay, E., & Pazarlıoğlu, M.V. (2016). The Empirical Role of Real Crude Oil Price and Real Exchange Rate on Economic Growth: The Case of Turkey. Ege Akademik Bakış, 16(4), 627-639.
  • Hamilton, J. D. (2003). What is an Oil Shock?. Journal of Econometrics, 113(2), 363-98.
  • Hamilton, J. D. (1983). Oil and the Macroeconomy Since World War II. Journal of Political Economy, 91(2), 228-248.
  • Hooker, M.A. (1996). What Happened to the Oil PriceMacroeconomy Relationship?. Journal of Monetary Economics, 38(2), 195-213.
  • Jiménez-Rodríguez, R., & Sánchez, M. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for some OECD Countries. Applied Economics, 37, 201-228.
  • Jiménez-Rodriguez, R.J., & Sanchez, M. (2009). Oil Shocks and the Macro-economy: A Comparison across High Oil Price Periods. Applied Economics Letters, 16 (16), 1633-1638.
  • Kliesen, K. L. (2008). Oil and the U.S. Macroeconomy: An Update and a Simple Forecasting Exercise. Federal Reserve Bank of St. Louis Review, 90(5), 505-16.
  • Kumar, S. (2005). The Macroeconomic Effects of Oil Price Shocks: Empirical Evidence for India. Economics Bulletin, 29 (1), 15–37.
  • Levin, A., Lin, C. F. & Chu C. (2002). Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties. Journal of Econometrics, 108, 1-24.
  • Mork, K.A. (1989). Oil and the Macroeconomy, When Prices Go Up and Down: An extension of Hamilton’s results. Journal of Political Economy, 97(3), 740-744.
  • Peersman, G., & I. Van Robays (2009). Oil and the Euro Area Economy. Economic Policy, 24(60), 603-651.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross section Dependence in Panels. University of Cambridge. Faculty of Economics Cambridge Working Papers in Economics, 0435.
  • Öztürk, F. (2015), Oil Price Shocks-Macro Economy Relationship in Turkey. Asian Economic and Financial Review, 5(5), 846-857.
  • Segal, P. (2011). Oil Price Shocks and the Macroeconomy. Oxford Review of Economic Policy, 27(1), 169–185.
  • Taghizadeh-Hesary, F., & Yoshino, N. (2015). Macroeconomic Effects of Oil Price Fluctuations on Emerging and Developed Economies in a Model Incorporating Monetary Variables. Asian Development Bank Institute Working Paper Series, 546.
  • Van Robays, I.V. (2012). Macroeconomic Uncertainty and the Impact of Oil Shocks. European Central Bank Working Paper Series, 1479.
  • Yıldız, E., & Karacaer-Ulusoy, M. (2013). The Fragility of Turkish Economy from the Perspective of Oil Dependency. Managing Global Transitions, 13 (3), 253–266.
  • Zhang, D. (2008). Oil Shock and Economic Growth in Japan: A Nonlinear Approach. Energy Economics, 30 (5), 2374–90.
There are 34 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Research Article
Authors

Evrim Ertunga 0000-0002-7257-6629

Publication Date April 30, 2019
Acceptance Date December 28, 2018
Published in Issue Year 2019 Volume: 19 Issue: 2

Cite

APA Ertunga, E. (2019). The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries. Ege Academic Review, 19(2), 301-308. https://doi.org/10.21121/eab.558475
AMA Ertunga E. The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries. ear. April 2019;19(2):301-308. doi:10.21121/eab.558475
Chicago Ertunga, Evrim. “The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries”. Ege Academic Review 19, no. 2 (April 2019): 301-8. https://doi.org/10.21121/eab.558475.
EndNote Ertunga E (April 1, 2019) The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries. Ege Academic Review 19 2 301–308.
IEEE E. Ertunga, “The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries”, ear, vol. 19, no. 2, pp. 301–308, 2019, doi: 10.21121/eab.558475.
ISNAD Ertunga, Evrim. “The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries”. Ege Academic Review 19/2 (April 2019), 301-308. https://doi.org/10.21121/eab.558475.
JAMA Ertunga E. The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries. ear. 2019;19:301–308.
MLA Ertunga, Evrim. “The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries”. Ege Academic Review, vol. 19, no. 2, 2019, pp. 301-8, doi:10.21121/eab.558475.
Vancouver Ertunga E. The Effects of Oil Prices and Exchange Rates Movements on Economic Growth of the Selected Emerging Oil Dependent Countries. ear. 2019;19(2):301-8.